This role in the Loss Forecasting team will be responsible for managing the complete life cycle of time series models for forecasting credit losses and recoveries, including development, implementation, validation, tracking, monitoring and redevelopment.
Key responsibilities include:
- Develop time series models for forecasting credit losses and recoveries by using state of art techniques
- Document the model in accordance with model documentation guidelines
- Implement the models for production use while ensuring compliance with DFS policies and procedures
- Communicate effectively the new model features and benefits to senior management
- Work with the offshore team for developing model performance monitoring and tracking reports
- Assist in internal and external audits and/or regulatory exams
- Support ad-hoc analytical requests
- Stay abreast of latest techniques and trends in time series modeling of credit losses
- Provide "thought leadership" on key topics, and guide/lead other team members when required
- Promote a risk-aware culture that ensures efficient and effective risk and compliance management practices by adhering to Company policies, standards and processes
- Masters degree in economics, statistics, engineering or related quantitative field.
- 3-7 years of experience in credit industry preferably in credit risk domain
- At least 3 years of experience in building statistical models with at least 1 years of experience in building time series models using macro-economic data
- High proficiency in SAS, SQL and MS Excel
- Ability to manage multiple priorities and deliver under pressure without compromising quality
- PhD degree in economics, statistics, engineering or related quantitative field.
- Familiarity with loss forecasting (or capital planning or stress testing)
- Demonstrated skills and ability to communicate clearly, build strong relationships, to coach, mentor and guide junior staff members, and to exercise prudent judgments
- Experience in functionally managing statisticians and modelers is a plus
- Effective communication (oral and written), presentation, interpersonal / business partnering, and organizational skills.
We are an Equal Opportunity Employer and do not discriminate against any employee or applicant for employment because of race, color, sex, age, national origin, religion, sexual orientation, gender identity, status as a veteran, and basis of disability or any other federal, state or local protected class.